As far as I'm aware, there's no data collection if you never log into Paradox, save for (potentially) the standard Unity metrics/analytics crap (which at the default/minimum level only records times you start/stop the game). This Unity crap does attach an identifier, which can probably be used to identify the user (or at least their machine) - but I've never looked into it further since it doesn't record anything not related to the game and is primarily designed for devs (plus I get my firewall to block it as a matter of course).

That said, a cursory look at the usual place where these logs are temporarily stored turns up nothing for Tyranny - which could be because I haven't run it in a while, or possibly there's a chance (albeit a small one) that Tyranny doesn't actually use Unity metrics at all.

For 100% confirmation on this, I would direct inquiries to Paradox directly - AFAIK they're legally obligated to tell you this (though they may just point to their privacy agreement as the definitive word on this).